I noticed that they often use a technique called CG to add details to the scene. For example they extend a wall, add some rocks, trees, mountains…

But what is remarkable that when they add those elements, they don’t show that they used green screen (as they’d done in some other places in the video). And since no green screen is used how could actors walk “In front of those elements”. I added two captures so you will understand what I mean.

The first one is the scene before editing, and the second one is after adding some elements and we see that the actor's head is over the rock in the background.

How could this be done without green screen?
Or they had used green screen and didn’t show it?
Or there’s a special technique?
And if there's a technique, can it be done on after effects?
If no which software is used to do such effects?
And finally what is the best and easiest software for cg modeling?

Another thing troubles me. How do they create such realistic water??? I tried to learn 3ds max but it is too hard. Now I’m learning cinema 4d, simpler but not as effective. So what software is used?

Sorry for asking much questions, audio/visual is my ambition and i'm really curious about it.

The link doesn't seem to work so I can't watch the video. They could have keyed it and just skipped that part of the video. But if something is shot with out a green screen and they need to cut part of a person out it is called rotoscoping. I did a video where the green screen wasn't big enough so I had to do a lot of rotoscoping. Take a look at the spot here:

Then watch the side by side:

To learn more about this I would check out some of the tutorials on Video Copilot like this one:

I am not sure how much you know about post-production. Starting with the basics, I think you are talking about a technique called compositing. Rotoscoping is one way to composite footage. There are many techniques used to layer elements into footage. I would suggest youtubing and learning all about compositing. That should explain how they added all the extras to any scene.